Published on 12/24/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $6.85 million contingent market-linked autocalls on indexes
By Wendy Van Sickle
Columbus, Ohio, Dec. 24 – Credit Suisse AG priced $6.85 million of market-linked securities due Dec. 21, 2022 – autocallable with contingent coupon and contingent downside linked to the least performing of the Russell 2000 index, the Dow Jones industrial average and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent semiannual coupon at an annual rate of 8.65% if each index closes at or above its 75% coupon threshold on the observation date for that period.
The notes will be called at par if each index closes at or above its initial level on any semiannual observation date after six months.
The payout at maturity will be par unless any index finishes below its 75% downside threshold, in which case the payout will be par plus the return of the worst performing index with full exposure to any losses.
Wells Fargo Securities, LLC is the agent.
| Issuer: | Credit Suisse AG
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| Issue: | Market linked securities – autocallable with contingent coupon and contingent downside
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| Underlying indexes: | Russell 2000 index, Dow Jones industrial average and Nasdaq-100 index
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| Amount: | $6,845,000
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| Maturity: | Dec. 21, 2022
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| Coupon: | 8.65% annualized, payable semiannually if each index closes at or above 75% coupon threshold on observation date for that period
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| Price: | Par
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| Payout at maturity: | Par unless any index falls by more than 25%, in which case 1% loss per 1% decline of worst performing index
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| Call: | At par if each index closes at or above its initial level on any interest payment date after six months
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| Initial levels: | 1,952.722 for Russell, 30,154.54 for Dow, 12,668.16 for Nasdaq
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| Coupon thresholds: | 1,464.5415 for Russell, 22,615.905 for Dow, 9,501.12 for Nasdaq; 75% of initial levels
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| Downside thresholds: | 1,464.5415 for Russell, 22,615.905 for Dow, 9,501.12 for Nasdaq; 75% of initial levels
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| Pricing date: | Dec. 16
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| Settlement date: | Dec. 21
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| Agent: | Wells Fargo Securities, LLC
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| Fees: | 1.825%
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| Cusip: | 22552WVR3
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